CFA Level 2: Fixed Income
Master the term structure, arbitrage-free valuation, embedded-option, and credit analysis techniques tested in the CFA Level II Fixed Income topic area. This course covers the full 2026 curriculum: connecting spot, forward, par, and swap curves and bootstrapping zero rates, evaluating rolldown strategies and yield-curve risk with key rate durations, building and calibrating binomial interest rate trees, valuing option-free and embedded-option bonds by backward induction and pathwise valuation, interpreting option-adjusted spreads and effective duration and convexity for callable and putable bonds, valuing capped floaters and convertible bonds, modeling credit risk with expected exposure, default probabilities, and credit valuation adjustments, and pricing and applying credit default swaps. Every chapter teaches through runnable Python and assesses in the exam's own vignette format: item sets with data exhibits, three-option questions, and distractors built from real candidate errors. The course closes with a full timed item-set exam. Aligned to the 10-15% CFA Level II exam weight.
- Level: intermediate
- Duration: 5 weeks
- 8 sections
- Price: $20
Topics: spot rates, forward rates, bootstrapping, par curve, yield to maturity, rolling down the yield curve, swap rate curve, swap spread, term structure theories, key rate duration, yield curve risk, arbitrage-free valuation, binomial interest rate tree, tree calibration, backward induction, pathwise valuation, Monte Carlo forward-rate simulation, term structure models, callable bonds, putable bonds, embedded options, option-adjusted spread, effective duration, effective convexity, one-sided duration, capped floater, floored floater, convertible bonds, conversion value, credit risk models, expected exposure, loss given default, probability of default, credit valuation adjustment, credit ratings, rating transitions, structural credit models, reduced-form credit models, credit spread term structure, securitized debt analysis, credit default swaps, CDS pricing, upfront premium, credit curve trades, basis trades, CFA Level II, fixed income, item sets, vignettes
What's inside
- Fixed Income (CFA Level II)
- Chapter 1: The Term Structure and Interest Rate Dynamics
- Chapter 2: The Arbitrage-Free Valuation Framework
- Chapter 3: Valuation and Analysis of Bonds with Embedded Options
- Chapter 4: Capped and Floored Floaters and Convertible Bonds
- Chapter 5: Credit Analysis Models
- Chapter 6: Credit Default Swaps
- Chapter 7: Fixed Income Item-Set Exam